In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets. We assu...

In the early 1930s, Julian Huxley, the prominent English evolutionary biologist, embarked on a visit across many British science laboratories to understand in which way the scientific knowledge they were producing was socially relevant. His account of this journey, published in 1934 (Huxley, 1934), is a compendium of applied scientific research in engineering, medicine, agriculture and so forth...

PHILIP ROBERTS (editor), The diary of Sir David Hamilton, 1709-1714, Oxford, Clarendon Press, 1975, 8vo, pp. xlviii, 138, £10.00. Hamilton was physician to Queen Anne and during the last five years of her life he kept a diary detailing his intimate contacts with her and her medical state. Her ideas and opinions, her relationships with friends, ministers and foes, together with the mood of the t...

Abstract This research proposes a hybrid improved marine predator algorithm (IMPA) and deep gated recurrent unit (DGRU) model for profit prediction in financial accounting information systems (FAIS). The study addresses the challenge of real-time processing performance caused by increasing complexity networks due to growing size datasets. To enable effective comparison, new dataset is created u...

This paper illustrates how to compare different agent-based models and how to compare an agent-based model with real data. As examples we investigate ARFIMA models, the probability density function, and the spectral density function. We illustrate the methodology in an analysis of the agent-based model developed by Levy, Levy, Solomon (2000), and confront it with the S&P 500 for a comparison wi...

Reseña por Andrea Szulc y Pía Levy